왜도와 첨도를 고려한 옵션 가격의 결정

• 영문명: Option Pricing with Skewness and Leptokurtic
• 발행기관: 건국대학교 경제경영연구소
• 저자명: 기호삼(Hosam Ki) 최병욱(Byungwook Choi)
• 간행물 정보: 『상경연구』제29권 제1호, 47~64쪽, 전체 18쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2004.05.30

영문 초록

The purpose of this study is to derive a European option pricing formula when the rate of return on the underlying asset follows a Gram-Chalier distribution instead of normal. This distribution explains well the volatility smile and furthermore the option prices calculated under the distribution are shown to be closer to the market option prices than that of Black-Scholes model(1973). We estimate the implied parameters of the new pricing formula such as volatility, skewness, and kurtosis, and conduct an in-sample test to verify the fitness of the pricing formula that we propose here.

목차

I. 개요

II. 위험중립 가격결정모델

III. Gram-Chalier분포 하에서의 옵션의 가치

IV. 옵션의 가격 비교

V. 결론

References

Abstract

키워드

option price risk neutral condition moment restriction Gram-Chalier distribution skewness kurtosis